The probability of informed trading (PIN) is used widely as a measure of information asymmetry. Relatively little work has appeared on how well PIN models fit empirical trade data. We reveal structural limitations in PIN models by examining their marginal distributions and dependence structures...

We construct a copula from the skew t distribution of Sahu, Dey & Branco (2003). This copula can capture asymmetric and extreme dependence between variables, and is one of the few copulas that can do so and still be used in high dimensions effectively. However, it is difficult to estimate the...

This paper analyzes the single period portfolio selection problem on the location-scale return family. The skew normal distribution, after recentering and reparameterization, is shown to be in this family. The recentered and reparameterized distribution, called factor-recentered skew normal, can...

Common ownership by institutional investors disincentivizes patent-related innovation by significantly reducing the quantity, private value, originality, and generality of patents. Firms lower their patent weapons as competition is relaxed by common ownership. The disincentive impact is...